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$$\frac{1}{(1+r_{02})^2} = E\left(\frac{1}{1+r_{12}}\right)\frac{1}{1+r_{01}}$$ Indeed, in the pricing measure, the distribution of $r_{12}$ has to be such that this relation holds. If you look at drift derivations for the LIBOR market model, a lot of work goes into making this sort of equation hold.


There is no conflict here. In the identity, \begin{align*} \frac{1}{(1+r_{02})^2} = E\left(\frac{1}{1+r_{12}}\right)\frac{1}{1+r_{01}}, \end{align*} the expectation is under the year-1 forward measure. However, in the identity \begin{align*} (1+r_{01})E(1+r_{12})=(1+r_{02})^2, \end{align*} the expectation is under the year-2 forward measure. For ...


Yes. The map $R(\cdot;S,T):\mathbb{R}^{2}\to\mathbb{R}$ completely describes the forward rate/spot rate term interest rate structure for each $t\geq0$. (You can think of it as the market interest rate surface for the rate $R$ at time $t$). The notation $R(t;S,T)$ is meant to remind you that $R$ is a stochastic process for $t>0$, the periods of time ...


I am note $100\%$ sure that I understand the question. But yes. More formally one could write $R(t,S,T)$ for the rate from $S$ to $T$ observed at $t$ and $R(t,t,T)$ for the spot.

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